Transition Densities for Interest Rate and Other Nonlinear Diffusions
应用Aït-Sahalia (1998)的理论方法，为任意扩散过程生成精确的闭式转移函数近似，重点用于利率模型的最大似然估计，并简要讨论在衍生品估值中的应用。
This paper applies to interest rate models the theoretical method developed in Aït‐Sahalia (1998) to generate accurate closed‐form approximations to the transition function of an arbitrary diffusion. While the main focus of this paper is on the maximum‐likelihood estimation of interest rate models with otherwise unknown transition functions, applications to the valuation of derivative securities are also briefly discussed.